VPNs are most often used while traveling—in hotels, coffee shops, or anywhere with public Wi-Fi. "If you're connected to a Wi-Fi network that you didn't set up yourself, you don't know who set it up," Yen said. This can become dangerous, especially if a hacker setup the network.

VPNs help assure people they are using a secure network. It creates a private network with an encrypted tunnel between a person's computer and the VPN server, so users have a secure connection to an trusted server.

For example, if a user is connected to a public Wi-Fi hotspot, which may be insecure, by tunneling traffic over a VPN, they can still use public Wi-Fi, and also have the comfort of knowing their data is secure and private.

When looking for a VPN provider, Yen suggests researching the company and making sure it is well-known and trustworthy. If you go to a website, and can't find much information about the provider, you shouldn't trust it, he said.

"You need to be very careful what VPN service that you actually pick, because a lot of these things promise to protect your data, but what they're actually doing is stealing your data, stealing your browsing history, and then reselling that," he said.